5. The Black-Scholes option pricing model The Black-Scholes option pricing model (OPM) was developed in 1973. The creation of the Black-Scholes OPM played a significant role in the rapid growth of options trading. The derivation of the Black-Scholes Option Pricing Model rests on the concept of a According to the Black-Scholes Option Pricing Model, as the time to expiration, t, Increases, the value of the call option increases Big Walnut Nut Company has a current stock price of $20.00. A call option on the stoc has an exercise orice of $20.00 and 0.36 year to maturity. The variance of the stock price is 0.06, and the risk-free rate is 54. You coated to be 0.21 and NO.21) to be 0.5632. Therefore, de will be 0.09 and N(0.09) will be 0,5359. Using the Black Scholes Option Pricing Mode, what is the value of the otion? (Note: Use 2.7183 as the appromate value of e.) 51:13 $0.966 $1.194 $1.050